Stress Testing (2nd Edition)
First published:
ISBN: 978-1-78272-391-2
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EU-wide Stress Test: The Experience of the EBA
Pilar Gutierrez, Angel Monzon and Mario Quagliariello
Foreword
Introduction
Response to Financial Crises: The Development of Stress Testing over Time
Stress Testing and Other Risk Management Tools
Econometric Pitfalls in Stress Testing
Stress-testing applications of Machine Learning Models
Four Years of Concurrent Stress Testing at the Bank of England: Developing the Macroprudential Perspective
Stress Testing for Market Risk
The Evolution of Stress Testing Counterparty Exposures
Liquidity Risk: The Case of the Brazilian Banking System
Operational Risk: An Overview of Stress-testing Methodologies
Peacetime Stress Testing: A Proposal
Stress-test Modelling for Loan Losses and Reserves
A New Framework for Stress Testing Banks’ Corporate Credit Portfolio
EU-wide Stress Test: The Experience of the EBA
Stress Testing Across International Exposures and Activities
The Asset Market Effects of Bank Stress-test Disclosures
An Alternative Approach to Stress Testing a Bank’s Trading Book
Determining the Severity of Macroeconomic Stress Scenarios
Governance over Stress Testing
The European Banking Authority (EBA) was established on January 1, 2011, with a broad remit that included safeguarding the stability of the European Union (EU) financial system. In particular, according to its founding regulation the EBA is required, in cooperation with the European Systemic Risk Board (ESRB), to initiate and coordinate EU-wide stress tests to assess the resilience of financial institutions to adverse market developments.
In fact, the first EU-wide stress test had already been performed by the Committee of European Banking Supervisors (CEBS), the EBA’s predecessor, in 2009, although the individual results of this stress test were kept confidential. In 2010, CEBS performed another EU-wide stress test among 91 banks. An aggregate report was published as well as, for the first time, individual bank results. In the aftermath of the financial crisis, a coordinated stress test was perceived as a possible way to facilitate consistent stress testing for cross-border banks in a single market, picking up region-wide risks that were emerging in pockets, and as a means to restore credibility when there was concern that national supervisors were being overly lenient in
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